Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0952
Annualized Std Dev 0.1738
Annualized Sharpe (Rf=0%) 0.5479

Row

Daily Return Statistics

Close
Observations 3605.0000
NAs 1.0000
Minimum -0.1246
Quartile 1 -0.0044
Median 0.0007
Arithmetic Mean 0.0004
Geometric Mean 0.0004
Quartile 3 0.0058
Maximum 0.1258
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0001
Stdev 0.0109
Skewness -0.7521
Kurtosis 19.7777

Downside Risk

Close
Semi Deviation 0.0081
Gain Deviation 0.0074
Loss Deviation 0.0091
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.4203
Historical VaR (95%) -0.0156
Historical ES (95%) -0.0261
Modified VaR (95%) -0.0154
Modified ES (95%) -0.0198
From Trough To Depth Length To Trough Recovery
2007-06-04 2009-03-09 2010-12-15 -0.4203 893 445 448
2020-01-21 2020-03-23 2020-08-07 -0.3486 140 44 96
2018-09-13 2018-12-24 2019-07-12 -0.1530 208 71 137
2011-07-08 2011-10-03 2012-03-13 -0.1399 171 60 111
2016-08-02 2016-12-01 2017-03-17 -0.1200 158 86 72

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA -0.9 -0.5 -0.3 -1.7
2007 0.7 -0.3 0.1 0.3 1.1 -0.3 -0.9 0.4 0.6 -2.4 0.3 -1.1 -1.6
2008 2 -1.9 2 0.5 0 -0.1 0.2 -1.2 1.1 -0.7 -4.5 2 -0.8
2009 -2.9 0.8 1.6 1 3.3 1.9 -0.2 -1.1 -1.1 -1.3 1.8 -1 2.7
2010 0.5 0.9 0.7 -0.6 -0.8 -0.2 0.5 1.7 0.4 -0.4 1.4 -0.2 4
2011 1.1 -1.1 0.6 0.9 -0.7 1.1 -0.5 -0.7 -1 -3.4 0.1 -0.5 -4.2
2012 1.1 -0.2 0.2 -0.2 -1.9 2.5 -0.7 0.1 0.1 1 0.6 0.6 3.4
2013 1.3 0 -0.4 -0.7 -1 0.7 0.9 -0.3 0 0 0 0 0.5
2014 -0.3 0.3 0.9 0.2 0.6 0.8 0.4 0.1 -1.5 0.9 -0.8 -0.8 0.6
2015 -1.8 0.3 0 1 -0.1 1.1 0.5 -2.7 0.3 0 0.9 -1 -1.5
2016 0.5 1 0.8 0.3 0.8 -0.5 0.1 -0.4 0.7 -0.4 -1.9 -0.7 0.3
2017 -0.1 1 0.1 -0.4 1.4 0.7 -0.3 0.3 0.7 -0.1 -0.6 -0.4 2.2
2018 0.3 -1.1 1.2 -1 0.5 0.1 -0.5 0.3 -0.6 1.1 0 0.3 0.5
2019 0.1 0.8 -0.1 -1 -1.1 0.4 -0.7 -0.4 -0.4 0.1 -0.8 0.3 -2.8
2020 -1.6 -3.8 -3 -1 0.8 1 0 1.1 1.5 -2.4 0.9 0.2 -6.2
2021 0.5 2 -0.3 NA NA NA NA NA NA NA NA NA 2.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart